There was a small movement in Scandinavia to create a Union, but it was small and not very influential.

There are several factors why this movement never gained serious traction.

First of all, Sweden and Denmark had been mortal enemies for hundreds of years. Here I go through the wars between Denmark and Sweden in detail, each threatening the very existance of the other at times, both trying to dominate the Baltic and the profitable Baltic trade (Polish and Livonian grain for the Netherlands, tar, hemp, lumber and masts for England and the Netherlands, amber and herring lamp oil for pretty much everyone with luxury goods, salt, sugar and Tobacco going the other direction). Sweden and Denmark waged 15 to 21 wars against each other (depending on how you count) between 1173 and 1814.

Secondly, all three Kingdoms had a long and strong national identity dating back to the late viking or early medieval age, which meant that they all built their nationalism on this rather than on any Pan-Scaninavian identity.

There are strong economic differences between the three nations as well. Sweden was in an early state of industrialism based around its extensove copper and iron mining and smelting industry. Meanwhile, the Norwegians never really industrialised at all, instead focusing on fishing and huge merchant fleet. In Denmark, agriculture and industry related to it (among them beer production) continued to be the mainstay of society.

There were also very differing strategic and security concerns. Denmark was very keen on keeping its German provinces (Lauenburg, Holstein and Schleswig) in conflict with Prussia and Austria. Sweden in the meantime had friendly relations with Prussia and eyed Russia susiciously over recently lost Finland and their mutual border in northern Sweden. Norway felt no real threat at all - since Norway can only be invaded from Sweden at 2-3 Points during this time, it was essentially an Island - the Norwegians only needed the friendship of Britain - to have thier merchant fleet protected and welcome in the British Empire and for no-one to be able to invade Norway over the sea.

Norway had been forced into a Union with Sweden in 1814 - one that it was not very keen on from the start and started undermining it as soon as they could. The Norwegians were never enthusiastic about a Scandinavian Union - it would not bring them anything, rather it could threaten their friendship with Britain as the other countries were more conservative with tariffs.

Denmark wanted support in its possible wars against Prussia and Austria. A Swedish division (of 5 000 men) was posted to Denmark during the First Schleswig War in 1848, relieving some of the Danish army to be used in the fighting at Jutland.

However, since the basic underlying problems that started the war in 1848 had not been resolved, a new war, called the Second Schleswig War of 1864 flared up. This time the Swedes only contributed with volunteers, and Denmark lost all its German territory and a good chunk of Jutland. Danish dissapointment with the lukewarm Swedish response in their time of need and the Norwegian disinterest in the whole thing pretty much killed off the Pan-Scandinavist movement at that point.

Differing economical, political and security concerns, local rather than pan-Scandinavian nationalism and realpolitik of the age pretty much killed off the movement in its infancy.